Fitch Ratings has taken the following rating actions on Citigroup Mortgage Loan Trust mortgage pass-through certificates. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are removed from Rating Watch Negative. Affirmations total $747.2 million and downgrades total $721.6 million. Additionally, $236.6 million was placed on Rating Watch Negative. Break Loss percentages (BL) and Loss Coverage Ratios (LCR) for each class are included with the rating actions as follows:
Citigroup Mortgage Loan Trust 2005-HE1
--$10.2 million class A-1A affirmed at 'AAA', (BL: 97.52, LCR: 2.42);
--$1.1 million class A-1B affirmed at 'AAA', (BL: 97.53, LCR: 2.42);
--$5.4 million class A-2A affirmed at 'AAA', (BL: 97.70, LCR: 2.43);
--$6.4 million class A-3D affirmed at 'AAA', (BL: 98.58, LCR: 2.45);
--$42.6 million class M1 rated 'AA+', placed on Rating Watch Negative (BL: 79.65, LCR: 1.98);
--$22.9 million class M2 downgraded to 'A' from 'AA' (BL: 68.22, LCR: 1.69);
--$45.1 million class M3 downgraded to 'B' from 'A' (BL: 45.19, LCR: 1.12);
--$12.7 million class M4 downgraded to 'CCC/DR3' from 'A-' (BL: 38.64, LCR: 0.96);
--$11.9 million class M5 downgraded to 'CCC/DR5' from 'BBB+' (BL: 32.34, LCR: 0.8);
--$9.4 million class M6 downgraded to 'CC/DR5' from 'BBB-' (BL: 27.37, LCR: 0.68);
--$7.8 million class M7 downgraded to 'CC/DR6' from 'BB' (BL: 23.19, LCR: 0.58);
--$7.4 million class M8 downgraded to 'C/DR6' from 'B' (BL: 19.32, LCR: 0.48);
--$8.6 million class M9 downgraded to 'C/DR6' from 'CCC' (BL: 15.44, LCR: 0.38);
Deal Summary
--Originators: WMC (69.05%), Argent/Olympus (20.82%), MortgageIT (10.02%)
--60+ day Delinquency: 57.02%
--Realized Losses to date (% of Original Balance): 2.19%
--Expected Remaining Losses (% of Current balance): 40.28%
--Cumulative Expected Losses (% of Original Balance): 11.98%
Citigroup Mortgage Loan Trust 2005-HE3
--$69.4 million class A-1 affirmed at 'AAA', (BL: 72.90, LCR: 2.2);
--$54.4 million class A-2C affirmed at 'AAA', (BL: 89.31, LCR: 2.69);
--$88.1 million class A-2D affirmed at 'AAA', (BL: 72.68, LCR: 2.19);
--$55.7 million class M-1 rated 'AA+', placed on Rating Watch Negative (BL: 61.45, LCR: 1.85);
--$52.0 million class M-2 downgraded to 'A' from 'AA' (BL: 52.33, LCR: 1.58);
--$34.9 million class M-3 downgraded to 'BB' from 'AA' (BL: 45.80, LCR: 1.38);
--$25.2 million class M-4 downgraded to 'BB' from 'AA-' (BL: 41.03, LCR: 1.24);
--$24.5 million class M-5 downgraded to 'B' from 'BBB+' (BL: 36.39, LCR: 1.1);
--$22.3 million class M-6 downgraded to 'CCC/DR5' from 'BBB' (BL: 32.08, LCR: 0.97);
--$22.3 million class M-7 downgraded to 'CCC/DR5' from 'BB' (BL: 27.63, LCR: 0.83);
--$17.8 million class M-8 downgraded to 'CC/DR5' from 'B' (BL: 24.05, LCR: 0.73);
--$14.1 million class M-9 downgraded to 'CC/DR5' from 'B' (BL: 21.08, LCR: 0.64);
--$14.1 million class M-10 revised to 'C/DR6' from 'C/DR5' (BL: 18.06, LCR: 0.54);
--$12.6 million class M-11 revised to 'C/DR6' from 'C/DR5' (BL: 15.55, LCR: 0.47);
--$20.0 million class M-12 revised to 'C/DR6' from 'C/DR5' (BL: 11.97, LCR: 0.36);
Deal Summary
--Originators: WMC (GI/GII = 82.97%/77.24%), MortgageIT (GI/GII = 4.70%/8.62%), First Horizon (GI/GII = 6.09%/5.21%), Accredited (GI/GII = 3.89%/5.19%) and IMPAC (GI/GII = 2.35%/3.74%)
--60+ day Delinquency: 40.72%
--Realized Losses to date (% of Original Balance): 2.47%
--Expected Remaining Losses (% of Current balance): 33.15%
--Cumulative Expected Losses (% of Original Balance): 14.47%
Citigroup Mortgage Loan Trust 2005-HE4
--$92.8 million class A-1 rated 'AAA', placed on Rating Watch Negative (BL: 60.68, LCR: 1.98);
--$16.0 million class A-2B affirmed at 'AAA', (BL: 96.55, LCR: 3.15);
--$63.3 million class A-2C affirmed at 'AAA', (BL: 66.68, LCR: 2.18);
--$45.5 million class A-2D rated 'AAA', placed on Rating Watch Negative (BL: 58.64, LCR: 1.91);
--$33.7 million class M-1 downgraded to 'BBB' from 'AA+' (BL: 50.95, LCR: 1.66);
--$31.0 million class M-2 downgraded to 'BB' from 'AA' (BL: 43.59, LCR: 1.42);
--$21.7 million class M-3 downgraded to 'BB' from 'AA' (BL: 38.28, LCR: 1.25);
--$14.3 million class M-4 downgraded to 'B' from 'AA-' (BL: 34.71, LCR: 1.13);
--$14.8 million class M-5 downgraded to 'B' from 'A+' (BL: 31.00, LCR: 1.01);
--$12.5 million class M-6 downgraded to 'CCC/DR5' from 'A-' (BL: 27.77, LCR: 0.91);
--$11.1 million class M-7 downgraded to 'CCC/DR5' from 'BBB+' (BL: 24.71, LCR: 0.81);
--$11.1 million class M-8 downgraded to 'CC/DR5' from 'BBB-' (BL: 21.66, LCR: 0.71);
--$11.1 million class M-9 downgraded to 'CC/DR5' from 'BB' (BL: 18.59, LCR: 0.61);
--$6.0 million class M-10 downgraded to 'CC/DR6' from 'B+' (BL: 17.02, LCR: 0.56);
--$4.6 million class M-11 downgraded to 'CC/DR6' from 'B+' (BL: 15.80, LCR: 0.52);
--$12.0 million class M-12 downgraded to 'C/DR6' from 'CCC' (BL: 12.46, LCR: 0.41);
Deal Summary
--Originators: Argent Mortgage Company, LLC (GI/GII = 86.32%/80.76%), MortgageIT, Inc. (GI/GII = 13.68%/19.24%)
--60+ day Delinquency: 34.55%
--Realized Losses to date (% of Original Balance): 1.56%
--Expected Remaining Losses (% of Current balance): 30.65%
--Cumulative Expected Losses (% of Original Balance): 15.23%
Citigroup Mortgage Loan Trust 2005-OPT1
--$26.9 million class M1 affirmed at 'AA+', (BL: 89.18, LCR: 5.21);
--$24.0 million class M2 affirmed at 'AA', (BL: 72.04, LCR: 4.21);
--$15.5 million class M3 affirmed at 'AA-', (BL: 32.31, LCR: 1.89);
--$13.4 million class M4 downgraded to 'BBB' from 'A+' (BL: 28.17, LCR: 1.65);
--$13.0 million class M5 downgraded to 'BB' from 'A' (BL: 24.37, LCR: 1.43);
--$11.8 million class M6 downgraded to 'B' from 'A-' (BL: 20.51, LCR: 1.2);
--$10.2 million class M7 downgraded to 'B' from 'BBB+' (BL: 17.94, LCR: 1.05);
--$6.5 million class M8 downgraded to 'CCC/DR2' from 'BBB' (BL: 16.17, LCR: 0.95);
--$8.1 million class M9 downgraded to 'CCC/DR2' from 'BBB-' (BL: 14.06, LCR: 0.82);
--$9.0 million class M10 downgraded to 'CC/DR3' from 'BB+' (BL: 12.36, LCR: 0.72);
Deal Summary
--Originators: Option One 100%
--60+ day Delinquency: 29.51%
--Realized Losses to date (% of Original Balance): 0.77%
--Expected Remaining Losses (% of Current balance): 17.10%
--Cumulative Expected Losses (% of Original Balance): 4.14%
Citigroup Mortgage Loan Trust 2005-OPT3
--$47.5 million class A-1D affirmed at 'AAA', (BL: 91.09, LCR: 4.1);
--$41.3 million class M1 affirmed at 'AA+', (BL: 75.75, LCR: 3.41);
--$29.7 million class M2 affirmed at 'AA', (BL: 64.17, LCR: 2.89);
--$17.6 million class M3 affirmed at 'AA', (BL: 57.06, LCR: 2.57);
--$16.7 million class M4 affirmed at 'A+', (BL: 48.67, LCR: 2.19);
--$15.3 million class M5 affirmed at 'A', (BL: 43.29, LCR: 1.95);
--$13.9 million class M6 downgraded to 'BBB' from 'A' (BL: 37.99, LCR: 1.71);
--$13.0 million class M7 downgraded to 'BB' from 'A-' (BL: 32.70, LCR: 1.47);
--$11.1 million class M8 downgraded to 'BB' from 'BBB+' (BL: 28.09, LCR: 1.26);
--$7.4 million class M9 downgraded to 'B' from 'BBB' (BL: 24.98, LCR: 1.12);
--$6.0 million class M10 downgraded to 'B' from 'BB' (BL: 22.54, LCR: 1.01);
--$9.3 million class M11 remains at 'C/DR4' (BL: 19.44, LCR: 0.88);
Deal Summary
--Originators: Option One Mortgage Corp. 100
--60+ day Delinquency: 32.44%
--Realized Losses to date (% of Original Balance): 0.63%
--Expected Remaining Losses (% of Current balance): 22.21%
--Cumulative Expected Losses (% of Original Balance): 6.69%
Citigroup Mortgage Loan Trust 2005-OPT4
--$28.8 million class A-1 affirmed at 'AAA', (BL: 84.86, LCR: 3.81);
--$4.2 million class A-2C affirmed at 'AAA', (BL: 99.33, LCR: 4.46);
--$49.7 million class A-2D affirmed at 'AAA', (BL: 81.61, LCR: 3.66);
--$35.0 million class M-1 affirmed at 'AA+', (BL: 70.13, LCR: 3.15);
--$31.1 million class M-2 affirmed at 'AA+', (BL: 59.59, LCR: 2.67);
--$18.5 million class M-3 affirmed at 'AA', (BL: 51.77, LCR: 2.32);
--$16.5 million class M-4 affirmed at 'AA-', (BL: 46.77, LCR: 2.1);
--$14.6 million class M-5 affirmed at 'A+', (BL: 42.06, LCR: 1.89);
--$14.6 million class M-6 downgraded to 'BBB' from 'A' (BL: 37.06, LCR: 1.66);
--$12.1 million class M-7 downgraded to 'BB' from 'A-' (BL: 32.64, LCR: 1.46);
--$10.7 million class M-8 downgraded to 'BB' from 'BBB+' (BL: 28.71, LCR: 1.29);
--$7.8 million class M-9 downgraded to 'B' from 'BBB' (BL: 25.74, LCR: 1.16);
--$7.3 million class M-10 downgraded to 'B' from 'BBB' (BL: 22.94, LCR: 1.03);
--$9.7 million class M-11 downgraded to 'CCC/DR4' from 'BBB-' (BL: 19.30, LCR: 0.87);
--$13.1 million class M-12 downgraded to 'CC/DR5' from 'B' (BL: 14.44, LCR: 0.65);
--$9.7 million class M-13 remains at 'C/DR5' (BL: 11.18, LCR: 0.5);
Deal Summary
--Originators: Option One Mortgage Corporation 100%
--60+ day Delinquency: 31.98%
--Realized Losses to date (% of Original Balance): 0.95%
--Expected Remaining Losses (% of Current balance): 22.28%
--Cumulative Expected Losses (% of Original Balance): 7.72%
The rating actions are based on changes that Fitch has made to its subprime loss forecasting assumptions. The updated assumptions better capture the deteriorating performance of pools from 2007, 2006 and 2005 with regard to continued poor loan performance and home price weakness. Additional details are available in the following research, available at www.fitchratings.com:
--'Fitch Places $139B U.S. Subprime RMBS On Watch Negative on Worsening Mortgage Performance' (Feb. 1, 2008);
--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007);
--'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June 12, 2007).
All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview.
Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
Contacts:
Tara Sweeney, +1-212-908-0347
Michele
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Sandro Scenga, +1-212-908-0278 (Media
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